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Threshold Modelling of Stock Return Volatility on Eastern European Markets

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  • Shields, Kalvinder K

Abstract

A common finding for developed stock markets is that negative shocks entering the market lead to a larger return volatility than positive shocks of a similar magnitude. The following paper considers two emerging Eastern European Markets where the first point of investigation is whether an analogous asymmetric characteristic is reflected in emerging markets. The second point of investigation is whether the findings differ depending on the institutional microstructure of the exchange being examined. Hence, econometric techniques are adjusted and a 'double-censored tobit GARCH' model is developed. This paper finds that no asymmetry exists on either markets and possible reasons for this are proposed. Copyright 1997 by Kluwer Academic Publishers

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  • Shields, Kalvinder K, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-125.
    • Handle: RePEc:kap:ecopln:v:30:y:1997:i:2-3:p:107-25
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    1. Shields, Kalvinder K, 1997. "Stock Return Volatility on Emerging Eastern European Markets," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 118-138, Supplemen.
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    Cited by:

    1. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
    2. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
    3. Aycan HEPSAG, 2016. "Asymmetric stochastic volatility in central and eastern European stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 135-144, Summer.
    4. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    5. Ewa Majerowska, "undated". "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/5, Division of Economics, School of Business, University of Leicester.

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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • P21 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Planning, Coordination, and Reform
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

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